Publications by Jon Gregory

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TitleType of ArticleYear
Gregory, J., "A Note on the behaviour of single-name proxy CDS hedges in the BA-CVA formula"
BA-CVA formula

Working paper2019
Gregory, J., "xVA goes mainstream"
xVA Mainstream Jan17
Working paper2017
Gregory, J., "The Impact of Initial Margin"
InitialMarginPaper July16
Working paper2016
Gregory, J., "Marginally Conservative?"
CCP Paper Sept15
Working paper2015
Gregory, J., 2014, "Why CDOs Work", Risk, May.
Why CDOs Work May14
Gregory, J., and I. German, 2012, “Closing out DVA”, Risk, January
Gregory J., 2011, "Counterparty risk in credit derivative contracts", The Oxford Handbook of Credit Derivatives, A. Lipton and A. Rennie (Eds), Oxford University Press.
Book Chapter2011
Vrins, F., and J. Gregory, 2011, “Getting CVA up and running”, Risk, November
J. K. Gregory, 2009, “Being two faced over counterparty credit risk”, Risk 22 (2), pages 86-90.
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J.-P. Laurent and J. K. Gregory, “A comparative analysis of CDO pricing models”, 2008, in "The Definitive Guide to CDOs", G. Meissner (ed.), Chapter 15, 389-427, Risk Books.Paper2008
J. K. Gregory and J.-P. Laurent, “Practical pricing of synthetic CDOs”, 2008, in "The Definitive Guide to CDOs", G. Meissner (ed.), Chapter 9, 223-257, Risk Books.

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J. K. Gregory, 2008, “A free lunch and the credit crunch”, August, pages 74-77.

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J. K. Gregory, 2008, “A trick of the credit tail”, Risk, March, pages 88–92.

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X. Burtschell, J.K. Gregory and J.-P. Laurent, 2007, “ Beyond the Gaussian copula: stochastic and local correlation”, Journal of Credit Risk, Vol. 3, No. 1, pp. 31-62.

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J-.P. Laurent and J. K. Gregory, 2005, “Basket Default Swaps, CDOs and Factor Copulas”, Journal of Risk, Vol. 7, No. 4, pp. 103-122.

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J. K. Gregory and J.-P. Laurent, 2004, “In the core of correlation”. Risk, Vol. 17, No. 10, pp. 87-91.

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J. K. Gregory and J.-P. Laurent, 2003, “I will survive”, Risk, June, 103-107 also published in "Derivatives Trading and Option Pricing", N. Dunbar (ed.), Chapter 8, 129-145, Risk Books, 2005 and in "Theory and Practice of Credit Risk Modelling", A. Lipton (ed.), Chapter 14, 211-226, Risk Publications, 2008.Paper2003
A. Arvanitis, J. K. Gregory and R.J. Martin, 2000, “Hedging Financial Risks Subject to Asymmetric Information”, The Journal of Risk Finance, Volume 1, Issue 2, p. 9-18.Paper2000
Arvanitis, A, J. K. Gregory, and J.-P Laurent, "Building Models For Credit Spreads", Journal of Derivatives, Vol. 6, No. 3, (Spring 1999), pp. 27-43.Paper1999
A. Arvanitis, C. Browne, J. K. Gregory, R.J. Martin, 1998, “A Credit Risk Toolbox”, Risk, December (1998).Paper1998
J. K. Gregory, 2010, "Are we building the foundations for the next crisis already? The case of central clearing", May.

Working paper2010
"Counterparty Casino: The need to address a systemic risk"

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Working paper2010
"Towards active management of Counterparty Credit Risk with CVA", white paper written with Algorithmics.

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Working paper2010
"Gaining from your own default - counterparty credit risk and DVA", article written with Intedelta.

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Working paper2009
J. K. Gregory, 2009, "Gaining from your own default - counterparty risk and DVA", article written together with Intedelta, November. Link HereWorking paper2009
"The evolution of counterparty credit risk - an insider's view", white paper with Quantifi.

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Working paper2009
"Credit value adjustment and the changing environment for pricing and managing counterparty risk", white paper written with Algorithmics.

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Working paper2009
J. K. Gregory, 2008, “Credit Challenge”, Risk Magazine, January 2008.Paper2008
J. K. Gregory, 2008, “Credit Tails”, Risk Magazine, July 2007.

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J. K. Gregory, 2014, "Central Counterparties: Mandatory Central Clearing and Initial Margin Requirements for OTC Derivatives", John Wiley & Sons

J. K. Gregory, 2012,"Counterparty credit risk and credit value adjustment: A continuing challenge for global financial markets - Second Edition", John Wiley and Sons.

J. K. Gregory, 2009, “Counterparty Risk: The New Challenge for Global Financial Markets”, John Wiley and Sons.Books2009
J. K. Gregory (Ed), 2003, “Credit Derivatives: A Definitive Guide”, Risk BooksBooks2003
A. Arvanitis & J. K. Gregory, 2001, “Credit: The Complete Guide to Pricing, Hedging and Risk Management”, Risk BooksBooks2001